How to merge a leg inside a shoe? (physically not connected)
Well here is a conundrum. You want two objects that in the real world are separate to be connected as one. Think about modeling objects like they are in the real world, your shoe is not part of your leg.

I'd recommend you not try to connect the leg and shoe. There is no problem with them being the same object. The issue comes when you try to make everything have the same edge flow.
The leg should be one mesh and the shoe is one mesh (even if in the same object).

What you should do to bridge the gap is extrude the edge of the shoe inwards so that it is inside the leg. (edge is selected in left half of the image below)